Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0958 |
| Annualized Std Dev | 0.2216 |
| Annualized Sharpe (Rf=0%) | 0.4322 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3249.0000 |
| NAs | 1.0000 |
| Minimum | -0.1536 |
| Quartile 1 | -0.0046 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1502 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.5972 |
| Kurtosis | 22.2349 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5385 |
| Historical VaR (95%) | -0.0198 |
| Historical ES (95%) | -0.0340 |
| Modified VaR (95%) | -0.0185 |
| Modified ES (95%) | -0.0185 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-18 | 2009-03-06 | 2010-11-04 | -0.5385 | 582 | 276 | 306 |
| 2020-02-21 | 2020-03-23 | 2021-02-24 | -0.4618 | 255 | 22 | 233 |
| 2011-07-08 | 2011-10-03 | 2012-03-15 | -0.2345 | 174 | 61 | 113 |
| 2015-06-22 | 2016-02-11 | 2016-07-18 | -0.1992 | 271 | 163 | 108 |
| 2018-09-24 | 2018-12-24 | 2019-04-05 | -0.1912 | 134 | 64 | 70 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | 0.3 | 0.4 | 0.6 | -0.3 | 1.5 | 0.9 | -1 | 0.2 | -0.2 | 2.3 |
| 2008 | 1.4 | 1.1 | -0.1 | 0.8 | 0.7 | -0.6 | 1 | 0.2 | 0.1 | 1.7 | 2.2 | 5 | 14.1 |
| 2009 | -4.5 | -0.3 | -0.2 | 2.4 | 0.6 | 0.8 | 0 | -1.6 | -1.9 | -0.3 | 2 | 0 | -3.1 |
| 2010 | 0.4 | 1.5 | 0.8 | -0.8 | 1.3 | -0.5 | -0.1 | 2.6 | 0 | -0.2 | 1.4 | -0.1 | 6.4 |
| 2011 | 1.8 | -0.4 | 0.7 | 0.5 | -1.9 | 1.6 | -1 | -1.1 | -1.4 | -2.9 | 0.4 | 0.4 | -3.3 |
| 2012 | 1.3 | 0.4 | 0.5 | 1.2 | -3.3 | 2.3 | -0.3 | 0.3 | 0.3 | 1.4 | -0.2 | 1.1 | 5.1 |
| 2013 | 1.1 | 0.1 | -0.8 | -0.7 | -0.8 | 0.5 | 1.9 | -1.1 | 1.1 | -0.1 | -0.2 | 0.2 | 1.1 |
| 2014 | -0.7 | 0 | 0.7 | 0.3 | 0.2 | 1 | -0.4 | 0.4 | -2.2 | 1.4 | -1.5 | -1 | -1.8 |
| 2015 | -0.4 | 0 | -0.3 | 0.8 | 0.3 | 0.3 | 0.3 | -2.8 | 0.3 | -0.2 | 0.3 | -0.7 | -2.1 |
| 2016 | 0.4 | 1.4 | 0.5 | -0.6 | 0.8 | 0.4 | -0.2 | 0 | 1 | -1 | -0.5 | -0.3 | 1.9 |
| 2017 | -0.2 | 0.9 | 0 | -0.1 | 1.2 | 0.5 | 0.5 | 0.3 | 0.3 | 0.1 | -0.2 | -0.2 | 3.2 |
| 2018 | 0.2 | -0.8 | 1.6 | -0.4 | 0.8 | 0.2 | -0.4 | 0 | 0 | 2 | 0.6 | 1 | 5 |
| 2019 | 0.4 | 0.2 | 1.3 | -0.7 | -0.6 | 0.8 | -1.3 | 0.2 | -1.8 | 1.4 | -1.7 | 0.2 | -1.8 |
| 2020 | -1.5 | -2.3 | -7 | -3.2 | 0.9 | -0.7 | -0.3 | 0.3 | 0.4 | 0.1 | 1.2 | 0.6 | -11.2 |
| 2021 | 1.1 | 2.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-03 25.4 SPY 144. 0.0108 0.00580 0.0462 0.0146 0.107 0.270 0.261 GLD 65.8 -3.00e-4 0.002
2 2007-04-04 25.4 SPY 144. 0.0011 0.0143 0.0297 0.0175 0.109 0.264 0.271 GLD 66.8 1.49e-2 0.0115
3 2007-04-05 25.4 SPY 144. 0.0027 0.016 0.0335 0.0181 0.105 0.258 0.280 GLD 66.9 7.00e-4 0.0184
4 2007-04-11 25.3 SPY 144. -0.0041 0.0023 0.0215 0.0209 0.112 0.256 0.284 GLD 67.1 -1.20e-3 0.019
5 2007-04-13 25.5 SPY 145. 0.0046 0.0075 0.0434 0.0222 0.130 0.266 0.314 GLD 67.8 1.27e-2 0.0147
6 2007-04-17 25.8 SPY 147. 0.0027 0.0171 0.0618 0.0289 0.143 0.297 0.330 GLD 68 -5.80e-3 0.0125
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
